XVA Quant Developer (VP), London XVA Quant Developer (VP), London …

Millar Associates
in London, United Kingdom
Permanent, Full time
Last application, 25 Oct 20
To £150k + Good Bonus + Good Benefits
Millar Associates
in London, United Kingdom
Permanent, Full time
Last application, 25 Oct 20
To £150k + Good Bonus + Good Benefits
This leading Investment Bank seeks to hire a Quant Developer to join their XVA trading business in London. With a quant background in either XVA or Interest Rates, or FX, you will support the XVA trading desk, work on trading tools, as well as design and develop new features for the XVA engine. Reporting to the Head of XVA, you will lead projects within XVA and develop junior staff, playing a key role in concept development and implementation to production in both programming and mathematics.

Front Office XVA Quant Analytics, C# (preferred) or C++, Project Leadership

KEY RESPONSIBILITIES:

  • Collaborate in the design and development of new XVA pricers, XVA features in the XVA engine
  • Support XVA systems (batch and trader tools), interact with traders, interact with IT, interact with Product Control, and with Model Validation
  • Development on XVA pricing system end to end, from batch, to library, to pricing tools
  • Communicate effectively with multiple stakeholders to deliver XVA systems across multiple entities

SKILLS & EXPERIENCE:

  • Circa 5 years' quant analytics experience (XVA or Rates or FX) gained in the Front Office, or Model Validation or Risk
  • Advanced programming skills in C# (preferred) or C++
  • Excellent derivatives maths abilities, particularly around Rates or Credit or FX models, & hedging
  • Familiar with Capital Regulations
  • Stochastic calculus, e.g. Brownian motion; algorithm complexity; CVA estimates 
  • Any knowledge of vectorization, pros & cons will be a plus
  • MSc or PhD in a relevant scientific or engineering discipline.
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